Here are a few tips that are worth keeping in mind:
River Transports can be used in lieu of Wagons, when building depots along rivers and estuaries. If you compare the cost of each under "Replacements", you'll notice that River Transports are much cheaper than wagons.
Secondly, you can prevent enemy units from crossing a river (at a given section) if you occupy that section of the river with four naval elements.
Generally speaking, the damage that Confederate Raiders do to Union shipping is minimal, at best. I recommend focusing upon building Brigs to be placed in the blockade boxes (i.e., Gulf and Atlantic), because they generally pay for themselves within a matter of a few months.
If you compare the naval detection value of gunboats vs. Brigs and Frigates, you'll see that gunboats are pretty weak at detection. I think its good practice to place a Brig at the mouth of the Mississippi very early, to better detect sneaky Union vessels trying to sneak up river. Once they get past your forts, well... gunboats aren't quite as capable of sinking 'em, you know?

Of course, Frigates have much better detection that Brigs do, but they're more expensive. Thus, very early in the game I establish a small "coast guard" of Brigs, and then "relieve" them of their patrol duties with Frigates, when I'm better able to afford such "luxuries" later... plus, I get a "new" brig to put in a blockade box!
Finally... don't forget that those vessels in the blockade boxes are using up supply, just like your ground forces. With a small "coast guard" of brigs, you can rotate the CG in and out of ports to replenish supplies and ammo, and send "the freshest" ones out to the blockades. Similarly, you can be bringing the nearly depleted naval units to do a swift patrol of likely (and not so likely) avenues of approach by sea, before they ship into to port for refurbishment.
Oh. One more thing that I almost forgot. Naval Engineers greatly speed up the process of ship building, and so you should do your "heavy" builds (brigs, frigates, ironclads) at departments which have a Naval Engineer. You
can order more of them... but its generally best to wait until you have a basic naval infrastructure going before investing in such a luxury. Even so, recruit more when you can afford to.
Regards.